Guys,
I don't think it makes too much difference which way you choose to tie the legs in because several different methods will work. The problem is that those pesky legs can get in the way if you're trying to tie in other sections of the fly. Here is a method that I use and you can try it, as well as other suggestions, to see which works the best for you. Finish the fly completely and then wrap back through the hackle a few wraps and tie the first leg in. Now hold it in place with 2-3 wraps and tie the other leg in. Do the same 2-3 wraps, position the legs just where you want them to be and then wrap forward to tie off the finished fly. This is just another method and you can try it with other suggestions to see how it fits with your practices. Good luck.
Hugh